How to specify init values for ep-stan?

example-models

#1

I need to specify custom init values for each model parameter. Could someone help out with instructions? Is it something I can pass into main using the accompanying model.py file?


#2

What is EP-Stan? I don’t think it’s something we’re distributing.


#3

I believe it’s the expectation propagation stuff that Aki, Andrew and others put out with their paper. So not officially supported by the Stan development team, but hopefully still supported by the relevant developers.

Maybe @avehtari knows the answer or knows who would know the answer or knows who would know who would know the answer?


#4

In the current version, there is no full control of the initial approximation. One can use the parameter init_site for the class Master in file epstan/method.py to specify the initial site precision matrix Q for all the sites, but r (and thus the mean) is always zero. The initial approximation is simply the sum of all the site natural parameters (Q, r) + the prior distribution natural parameters.

However, one could easily modify the code to accept also the r value for each site in class Master in file epstan/method.py. For example, one could require parameter init_site to include also r and make some changes around lines 853-861

Hopefully this helps.


#5

this: https://github.com/gelman/ep-stan